You manage a risky portfolio with an expected rate of return of 18% and a standard deviation

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You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%.

Your client wants to invest in your portfolio and in the risk- free asset so that the overall portfolio will have an expected rate of return of 16%. What proportion (y) of the total investment must be invested in the risky portfolio? explain this?

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Investments

ISBN: 9781259271939

9th Canadian Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus, Lorne Switzer, Maureen Stapleton, Dana Boyko, Christine Panasian

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Posted Date: Apr 04, 2024 12:25 AM

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You manage a risky portfolio with an expected rate of return of 18% and a standard deviation

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Given that the client desires an overall portfolio expected rate of return of 16 consisting of both ... View the full answer

Investments

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